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CIB QR - Quantitative Research Wholesale Credit Capital Model Development – VP

Req #: 170082635
Location: New York, NY, US
Job Category: Accounting/Finance/Audit/Risk
Potential Referral Amount: 3000 US Dollar (USD)
Location: Jersey City, NJ, US
 
CIB QR Wholesale Credit Capital Group within the Risk organization of JPMC is looking for a modeler who will focus on Basel and allowance modeling methodologies. The position requires the modeling of loss given default and exposure at default.



Requirements:

  • Solid theoretical and practical knowledge of statistical methods and models: generalized linear models, time-series analysis, clustering, decision trees, logistic regression.
  • Experience in handling large amount of panel data, and data cleaning/filtering.
  • Hands on programming in Python and R.
  • Prior experience in wholesale credit is strongly preferred.
  • Prior experience in Basel and allowance modeling is strongly preferred.
  • Basic knowledge on credit risk modeling both at single-obligor/exposure level and portfolio level.
  • Previous experience in writing documents for regulatory reviews.

 




Qualification:
  • PhD or MS in quantitative field: finance, econometrics, mathematics, physics, engineering.
  • 3+ years of relevant experience (associate). Fresh graduates would be considered as long as the candidate meets the requirements listed below.
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